Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1906 |
| Annualized Std Dev | 0.2795 |
| Annualized Sharpe (Rf=0%) | -0.6820 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3274.0000 |
| NAs | 1.0000 |
| Minimum | -0.3440 |
| Quartile 1 | -0.0088 |
| Median | -0.0010 |
| Arithmetic Mean | -0.0007 |
| Geometric Mean | -0.0008 |
| Quartile 3 | 0.0072 |
| Maximum | 0.1348 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0013 |
| UCL Mean (0.95) | -0.0001 |
| Variance | 0.0003 |
| Stdev | 0.0176 |
| Skewness | -1.8973 |
| Kurtosis | 48.8765 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0128 |
| Gain Deviation | 0.0127 |
| Loss Deviation | 0.0139 |
| Downside Deviation (MAR=210%) | 0.0178 |
| Downside Deviation (Rf=0%) | 0.0131 |
| Downside Deviation (0%) | 0.0131 |
| Maximum Drawdown | 0.9633 |
| Historical VaR (95%) | -0.0243 |
| Historical ES (95%) | -0.0404 |
| Modified VaR (95%) | -0.0206 |
| Modified ES (95%) | -0.0206 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-12 | NA | -0.9633 | 2836 | 2830 | NA |
| 2008-10-28 | 2008-11-04 | 2008-11-19 | -0.1696 | 17 | 6 | 11 |
| 2008-01-28 | 2008-09-19 | 2008-10-06 | -0.1563 | 175 | 164 | 11 |
| 2007-03-06 | 2007-10-05 | 2007-11-19 | -0.1149 | 169 | 138 | 31 |
| 2008-10-10 | 2008-10-13 | 2008-10-23 | -0.1041 | 10 | 2 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | -2.2 | 0.5 | 0.4 | -0.4 | -0.8 | -0.5 | 0.6 | -1.5 | -2.1 | 3.9 | -0.1 | 0.7 | -1.5 |
| 2008 | -2.8 | 2.7 | -3.3 | -2.1 | -0.3 | 0.6 | -0.3 | 1 | 1.4 | -7 | 12.1 | -2.9 | -2.1 |
| 2009 | 1.7 | 1 | -0.1 | 0.3 | -4.5 | -2.1 | -0.3 | 2.2 | 3 | 2.6 | -1.4 | 1.5 | 3.7 |
| 2010 | -1.1 | -2 | -0.8 | 2.7 | 2.7 | 0.7 | 0 | -3.7 | -0.5 | 0.7 | -2.1 | 1.1 | -2.5 |
| 2011 | -2 | 1.6 | -0.1 | -0.3 | 2.7 | -1.8 | 0.7 | 2.1 | 2.3 | 3.7 | 0.1 | 0.6 | 9.7 |
| 2012 | -2 | -0.8 | -0.1 | -0.2 | 3.2 | -3 | 0.8 | -0.5 | 0.1 | -1.3 | 0.1 | -1.8 | -5.5 |
| 2013 | -1.7 | -0.3 | 1.1 | 2.4 | 0.6 | -1 | -1.4 | 1.3 | -1 | 0.7 | 0.3 | 0.1 | 0.9 |
| 2014 | 0.9 | -0.2 | -0.8 | 0.6 | 0.3 | -1.6 | 0.9 | -0.5 | 1.7 | -1.2 | 2.6 | 1.7 | 4.4 |
| 2015 | -0.1 | -0.3 | 0.2 | 2.3 | 0.1 | 2.7 | 0.1 | 2.9 | 0.5 | -0.2 | -2.4 | 2.4 | 8.5 |
| 2016 | -1.1 | -0.9 | -1.5 | 0.7 | -0.9 | -3.3 | 0.7 | 1.5 | -0.9 | 3.3 | 0.6 | -0.2 | -2 |
| 2017 | -0.8 | -1.6 | -0.3 | -0.1 | -1.3 | 1 | -0.2 | 0.5 | -1.4 | 1.3 | 0.9 | 0.6 | -1.6 |
| 2018 | 0.3 | 0.3 | -1.2 | -0.1 | -2.4 | 0.3 | -0.1 | 0.2 | 1.5 | -1.5 | 0.2 | -0.3 | -2.7 |
| 2019 | 0.1 | -0.5 | -1.2 | 0.8 | 1.3 | -0.1 | 1.7 | 0 | 1.9 | -1.6 | 0.5 | -0.4 | 2.5 |
| 2020 | 2.3 | 2.1 | 6.8 | 4.1 | -1 | 1.6 | 0.7 | -1 | -1.2 | 1.5 | -1.5 | -0.1 | 14.8 |
| 2021 | -1.8 | -2.8 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -4.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-01-25 278. SPY 142. -1.17e-2 -0.002 0.0045 0.0348 0.124 0.243 0.256 GLD 64.1 -0.0042 0.0289
2 2007-01-29 280. SPY 142. -8.00e-4 -0.0023 0.0033 0.0267 0.115 0.239 0.251 GLD 63.8 -0.0051 0.0167
3 2007-01-30 277. SPY 143. 5.20e-3 -0.0001 0.002 0.0289 0.111 0.260 0.254 GLD 64.2 0.0071 -0.0002
4 2007-02-01 271. SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
5 2007-02-05 272. SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
6 2007-02-06 273. SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
